Can someone explain to me what are PL Tones? What are they used for and should I put them in my scanners? Are they used only for conv. freq's?

PL is a Motorola trademark (short of "Private Line" and is the equivalent of GE's Channel Guard. The technical name for it is Sub audible Tone Coded Squelch. It is just low frequency tone that is transmitted along with the voice modulation. The receiver looks for the tone and only un-squelches when that tone is heard.
You would use it for the same reason commercial users employ it: To reduce interference. Frequencies are reused, so if a user in Denver was on 155.00 with PL of 103.5 he would not hear a transmitter in Boulder on the same frequency but on a PL of 100.0. While the are called subaudible, you can hear them. They are just below the pass band for the modulators that cut off anything below 300 Hz.
They are primarily used on conventional systems but can be used on analog trunk like EDACS. P25 has an equivilent with a NAC code that must be the same for both units to hear each other.
There is also digital PL that uses a subaudible binary stream that is transmitted continuously.
Hope that helps.
Craig

PL stands for Private Line, Motorola's name for Continuous Tone Coded Squelch. Other manufactures call it by different names but they all mean the same thing. Yes it is only used on analog systems, digital has no need for anything like CTCS. It is used in place of squelch to mute the audio until a sub-audible tone of the proper frequency is received. If you have this enabled on your scanner, you will only hear audio from stations on that frequency who broadcast the proper tone. If you want to hear everyone on a certain frequency then don't put the PL tone in your scanner, you will be using carrier-squelch and you will hear all.

Something new, in the last 25 years, is Digitally Coded Squelch or DCS. The transmitter sends a digital code and the receiver audio won't un-mute until it receives the proper code. It does the same thing as PL except that with PL there are only about 60 different tones used and DCS can give 256 codes.

The other questions appear to have been answered earlier. The answer to this one is somewhat up to you. PL tones will restrict what you hear on your scanner to ONLY broadcasts that use that specific PL tone. If any other PL tone (or no tone) is used you will NOT hear that broadcast. This allows an agency to somewhat restrict what their radios pick up when band conditions open up and allow distant signals to be heard on their normal frequency.

If you want to listen to only transmissions from a specific agency then you can program the PL tone for them along with their frequency on your scanner. However, if you want to listen to anything that may come in on a frequency, then leave the PL tone blank (or however else your scanner/software indicates no tone should be used). This will allow you the possibility to hear distant skip that may happen to make it to your scanner during a band opening from someone else on that frequency that doesn't use the same PL tone as your local agency. If you program in the PL tone, the distant signal must not only be on the same frequency, but also use the same PL tone for you to hear them.

When distant stations are scanned, they may have surprisingly strong signals, but you generally can tell that they don't belong to your local system once you get used to how your locals operate. The distant ones will just "sound different" somehow. You'll notice different sounding voices (not your local dispatcher for example), different codes used, different proceedures, etc. While it may not have the rush (or terror) of hearing a report of a shooting just down your block, they can often be quite interesting to listen to.